Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA

doi:10.1016/j.physa.2012.10.042

CORC > 上海财经大学 > 上海财经大学

	Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA
	Cao, Guangxi 1,2,3; Cao, Jie 1; Xu, Longbing 3
刊名	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
	2013-02-15
卷号	392 期号:4 页码:797-807
关键词	Asymmetric Multifractal MF-DFA Stock market
ISSN号	0378-4371
DOI	10.1016/j.physa.2012.10.042
英文摘要	We utilized asymmetric multifractal detrended fluctuation analysis in this study to examine the asymmetric multifractal scaling behavior of Chinese stock markets with uptrends or downtrends. Results show that the multifractality degree of Chinese stock markets with uptrends is stronger than that of Chinese stock markets with downtrends. Correlation asymmetries are more evident in large fluctuations than in small fluctuations. By discussing the source of asymmetric multifractality, we find that multifractality is related to long-range correlations when the market is going up, whereas it is related to fat-tailed distribution when the market is going down. The main source of asymmetric scaling behavior in the Shanghai stock market are long-range correlations, whereas that in the Shenzhen stock market is fat-tailed distribution. An analysis of the time-varying feature of scaling asymmetries shows that the evolution trends of these scaling asymmetries are similar in the two Chinese stock markets. Major financial and economical events may enhance scaling asymmetries. (C) 2012 Elsevier B.V. All rights reserved.
WOS研究方向	Physics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000314738700025
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2018]
专题	上海财经大学
通讯作者	Cao, Guangxi
作者单位	1.Nanjing Univ Informat Sci & Technol, Sch Econ & Management, Nanjing 210044, Jiangsu, Peoples R China; 2.Univ York, Dept Econ & Related Studies, York YO10 5DD, N Yorkshire, England; 3.Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Cao, Guangxi,Cao, Jie,Xu, Longbing. Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2013,392(4):797-807.
APA	Cao, Guangxi,Cao, Jie,&Xu, Longbing.(2013).Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,392(4),797-807.
MLA	Cao, Guangxi,et al."Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 392.4(2013):797-807.